Revista Tinerilor Economiºti (The Young Economists Journal)

Revista Tinerilor Economişti (The Young Economists Journal)
THE INFLUENCE OF THE MACROECONMIC SITUATION IN THE VALUE OF THE SYTEMATIC
CREDIT RISK IN ALBANIA. AN STATISTICAL ANALYSIS
Anila Mançka Ph. D
University “Fan S. Noli”
Faculty of Economy
Korçë, Albania
Abstract: The study presents the results of a statistical analysis of the
macroeconomic impact in the credit risk in Albania. The purpose of the
analysis is the determination of macroeconomic factors that had a
significant impact on systematic credit risk in Albania. The analysis
resulted that the depreciation of the currency in relation to the euro led to a
worsening of financial situation of borrowers who have a loan in Euros,
increasing the possibility of default loans. The world financial crisis has
adversely affected our banking system, reducing the loans offered and
worsening macroeconomic indicators. High inflation and GDP change also
had a significant impact on the deterioration of the quality of the banking
portfolio. By statistical analysis resulted in the period taken into account,
the credit risk in Albania is not influenced by interest rates, export-imports,
the unemployment rate and the exchange rate of the dollar.
JEL classification: E02, E44, G01, G11, G21.
Key words: financial crisis, modern portfolio theory, macroeconomic factors, credit
risk factors, Albania banking system.
1. Introduction
It is very difficult measurement of the degree of vulnerability of the banking
system against unexpected losses that may be caused by the process of loan payment.
Efforts have been made to build empirical models that assess the extent of the impact of
various macroeconomic factors on indicators measuring the quality of the banking
system, namely the ratio of nonperforming loans to total loans. In curring loans from
borrowers who can not turn them back or that late. These borrowers belonging to
different economic groups develop their microeconomic activity at a time and in a
certain space. Their behavior depends on and is influenced by the performance of basic
indicators that characterize a country’s macroeconomic development. If such indicators
show performance it is not conductive to the borrower, it will affect in one way or
another loan payment also on the degree of credit and the latter would affect the quality
of the banking system. Credit risk is measured by microanalysis, that determine
unsystematic risk and macroanalysis, which asses systematic risk (Morton Glantz,
2003). APT developed by Richard Roll and Stephen Ross (1976), was propagandized
by CAPM and includes as a key tool survey systematic risk. The methodology adopts
economic factors to explain investment returns. APT current research focus on more
factorial statistical techniques as factor analysis to dismantle the total return on
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